Academic Papers

The dynamics of financial markets – Mandelbrot’s multifractal cascades, and beyond

This is a short review in honor of B. Mandelbrot’s 80th birthday, to appear in Wilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be relevant to model the main statistical features of financial time series, in particular the intermittent, long-memory nature of the volatility. We describe in details the Bacry-Muzy-Delour multifractal random walk. We point out some inadequacies of the current models, in particular concerning time reversal symmetry, and propose an alternative family of multi-timescale models, intermediate between GARCH models and multifractal models, that seem quite promising.